This paper aims to study the effect of herding on buy and hold, momentum and contrarian strategy. In this research, the cross-sectional absolute deviation is used to identify herding behavior in twenty industries in Tehran stock market. It is observed that the down and boom periods had more industries with herding. Moreover, the weak herding is more common than the strong herding in this market...

We find substantial herding in U.S. corporate bonds among bond fund managers, much higher than that previously documented for the equity market. Herding is generally stronger among illiquid bonds, and buy herding and sell herding are driven by different factors. In particular, sell herding increases on negative news about bond ratings and corporate earnings. Interestingly, increases in ex-post ...

In this paper, we are interested in the factors that influence herding behavior in P2P lending marketplaces. We are using data from Prosper.com to examine whether internal market specific factors and external economic factors influence the amount of herding exhibited in the market. We also investigate what consequences herding has and how marketplace participants can benefit or suffer from herd...

This study examines investor herding behavior in Pacific-Basin equity markets. We find that herding is present in both rising and falling markets. Importantly, the level of herding is time-varying. We also find that herding is positively related to stock returns, but negatively related to market volatility. Herding estimates across markets are positively correlated, signifying co-movement of in...

Market Stress and Herding* We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market index itself and critically we can also separate such herding from common ...

Herding behavior is widely observed in auctions. There are rational reasons for herding but herding can also be counterproductive. We found evidence of herding behavior and sub-optimal outcome in a multi-winner auction setting. This study adds to the knowledge of herding by looking at herding in an auction setting where there is extra incentive to herd (multi-winner auction). Our findings recon...

This paper examines herding behavior in global markets. By applying daily data for 18 countries from May 25, 1988, through April 24, 2009, we find evidence of herding in advanced stock markets (except the US) and in Asian markets. No evidence of herding is found in Latin American markets. Evidence suggests that stock return dispersions in the US play a significant role in explaining the non-US ...

We describe conditions on signal distributions that are necessary and sufficient for informational herding in a stylized model of sequential specialist security trading. Curiously, there can be persistent herding even with signals that satisfy the Monotone Likelihood Ratio Property. Price paths are strongly biased in the direction of the herd but prices are also very sensitive to movements agai...

Lenders’ herding behavior in the peer-to-peer (P2P) lending platform in China is examined. Based on the data from PPdai.com, the largest online P2P lending market in China, we found that herding behavior is salient in P2P lending market in China, and such herding is associated with higher default rate. Keyword: Rational herding, information cascade, peer-to-peer online lending